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    <title>05.压力情景测试</title>
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          <p><span>--要点</span></p><p><span>&nbsp;&nbsp;&nbsp; 与风险敞口的对应关系</span></p><p><span>&nbsp;&nbsp;&nbsp; 权益市场&nbsp; &nbsp; &nbsp; &nbsp; delta</span></p><p><span>&nbsp;&nbsp;&nbsp; 收益率&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; DV01</span></p><p><span>&nbsp;&nbsp;&nbsp; 信用利差&nbsp; &nbsp; &nbsp; &nbsp; CR01</span></p><p><span><br></span></p><p><span>--操作</span></p><p><span>[初始化]</span></p><p><span>&nbsp;&nbsp;&nbsp; 权益市场&nbsp; &nbsp; 范围(+-20%)</span></p><p><span>&nbsp;&nbsp;&nbsp; 收益率&nbsp; &nbsp; &nbsp; &nbsp; 范围(+-50bps)</span></p><p><span>&nbsp;&nbsp;&nbsp; 信用利差&nbsp; &nbsp; 范围(+-50bps)</span></p><p><span>&nbsp;&nbsp;&nbsp; 用户可调整三项的变化范围</span></p><p><span><br></span></p><p><span>&nbsp;&nbsp;&nbsp; [Dropbox组合A]&nbsp; &nbsp; [Dropbox组合B]</span></p><p><span>&nbsp;&nbsp; 下拉框显示由组合构建产生5种组合，现有组合、保守配置、推荐配置、激进配置、定制组合</span></p><p><span><br></span></p><p><span>&nbsp;&nbsp;&nbsp; [Dropbox显示类型]:资产变动、实际资本变动、偿付能力变动</span></p><p><span><br></span></p><p><span>[刷新]</span></p><p><span>&nbsp;&nbsp;&nbsp; 按用户选择显示页面</span></p><p><span>&nbsp;&nbsp;&nbsp; 1.选择[资产变动] 纵轴单位为万元</span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp;&nbsp; 页面显示</span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp;&nbsp; 当前：资产总和</span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp;&nbsp; 变化后：资产总和+-权益市场%*delta&nbsp; （计算见风险敞口）</span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; +-收益率%*DV01&nbsp; &nbsp; （计算见风险敞口） </span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; +-信用利差%*CR01&nbsp; （计算见风险敞口）</span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp;&nbsp; 变化差&nbsp; &nbsp; </span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;&nbsp; 变化后-当前</span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp;&nbsp; </span></p><p><span>&nbsp;&nbsp;&nbsp; 2.选择[实际资本变动] 纵轴单位为万元&nbsp; &nbsp; &nbsp; &nbsp; </span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp;&nbsp; 页面显示</span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp;&nbsp; 当前：资产-负债</span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp;&nbsp; 变化后：【资产总和+-权益市场%*delta +-收益率%*DV01+-信用利差%*CR01】</span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; -(负债+-收益率*负债DV01）</span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp;&nbsp; 变化差&nbsp; &nbsp; </span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;&nbsp; 变化后-当前</span></p><p><span>&nbsp;&nbsp;&nbsp; 3.选择[偿付能力变动] 纵轴单位为百分比</span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp;&nbsp; 页面显示</span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp;&nbsp; 当前：实际资本/最低资本&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;&nbsp; //实际资本为2的计算，即 资产-负债；最低资本为偿二代最低资本</span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp;&nbsp; 变化后：【资产总和+-权益市场%*delta +-收益率%*DV01+-信用利差%*CR01】</span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; -(负债+-收益率*负债DV01）/最低资本</span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp;&nbsp; 变化差&nbsp; &nbsp; </span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;&nbsp; 变化后-当前</span></p><p><span><br></span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp;&nbsp; </span></p><p><span>[数据下载]</span></p><p><span>&nbsp;&nbsp; &nbsp; &nbsp; 暂时只读</span></p><p><span><br></span></p>
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